public Trade[] Execute(Order order)
{
if (order.Quantity > 0)
{
BuyOrders.Enqueue(order);
}
else
{
SellOrders.Enqueue(order);
}
var trades = new List <Trade>();
while (BuyOrders.Count > 0 && SellOrders.Count > 0)
{
var buy = BuyOrders.Peek();
var sell = SellOrders.Peek();
if (buy.Price < sell.Price)
{
break;
}
var quantity = Math.Min((buy.RemainingQuantity), sell.RemainingQuantity);
var price = buy.Generation < sell.Generation ? buy.Price : sell.Price;
var trade = new Trade(buy.Participant, sell.Participant, buy.Instrument, quantity, price);
trades.Add(trade);
buy.Fill(quantity);
sell.Fill(quantity);
if (buy.RemainingQuantity == 0)
{
BuyOrders.Dequeue();
}
if (sell.RemainingQuantity == 0)
{
SellOrders.Dequeue();
}
}
return(trades.ToArray());
}